US TSY OPTION IMPLIED VOL/OTC SWAPTION VOL FOR MAY 29

EST IMPLIED VOLATILITY/AVG ATM OPTIONS VIA BLOOMBERG, (All Times ET)

            USN     USQ      TYN     TYQ     FVN     FVQ     EDM      EDN

12:15      8.28%   7.93%    4.50%   4.22%   4.81%   3.39%   16.73%   17.66%

TUE 9:30   7.43%   7.25%    4.15%   3.92%   2.81%   2.57%   15.79%   15.48%

FRI 1:00   6.88%    N/A     3.37%    N/A    2.22%    N/A    13.14%   14.08%

FRI OPEN   7.00%    N/A     3.60%    N/A    2.30%    N/A    13.44%   13.53%

THU 3:00   6.77%    N/A     3.48%    N/A    2.23%    N/A    13.52%   13.11%

THU OPEN   6.92%    N/A     3.48%    N/A    2.24%    N/A    12.77%   12.03%

WED 3:00   7.13%    N/A     3.62%    N/A    2.32%    N/A    12.07%   11.42%

WED OPEN   7.23%    N/A     3.72%    N/A    2.38%    N/A    12.23%   10.32%

TUE 3:00   7.15%    N/A     3.58%    N/A    2.21%    N/A    12.62%   10.50% 

TUE OPEN   7.35%    N/A     3.61%    N/A    2.25%    N/A    13.36%   11.23%

     LARGEST O/I:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  120.00 C  125,165   +8,958   118.00 P  141,179 +17,968

SEP18 10Y NOTE  121.00 C   37,188   +6,275   117.00 P   40,206    -224

JUL18 5Y NOTE   113.00 C   54,498   -7,463   113.00 P   29,908  +2,531

SEP18 5Y NOTE   113.50 C   17,747   +1,240   106.50 P   76,422 +10,000

JUL18 2Y NOTE   106.37 C  124,211   +2,600   105.50 P    6,013    UNCH

SEP18 2Y NOTE   105.75 C    2,900     -100   105.67 P    6,057    UNCH

JUN18 EURODLR    98.00 C  386,511     UNCH    97.50 P  558,250    +728

JUL18 EURODLR    97.75 C  118,715     UNCH    97.37 P  113,906  +6,491

JUN19 1Y-MIDC    98.12 C  219,693     UNCH    97.12 P  457,965  -3,769

JUN20 2Y-MIDC    97.37 C  152,294     UNCH    97.37 P  164,602    UNCH

JUN21 3Y-MIDC    98.00 C  138,150     UNCH    97.25 P  145,831    UNCH

     NEAREST ATM:     STRIKE     TOTAL   CHANGE    STRIKE     TOTAL  CHANGE

JUL18 10Y NOTE  119.00 C   63,950   +1,139   119.00 P   41,493  +5,106

JUL18 10Y NOTE  119.50 C   76,588   -8,580   119.50 P   28,848 +19,598

SEP18 10Y NOTE  119.00 C   25,499     -329   119.00 P   19,943  +1,355

SEP18 10Y NOTE  119.50 C   18,223   +3,475   119.50 P   14,370  +1,699

JUL18 5Y NOTE   113.00 C   54,498   -7,463   113.00 P   29,908  +2,531

JUL18 5Y NOTE   113.50 C   38,353   +9,831   113.50 P   12,652  +7,313

SEP18 5Y NOTE   113.00 C    5,689       -1   113.00 P    7,083  -1,305

SEP18 5Y NOTE   113.50 C   17,747   +1,240   113.50 P    1,708  +1,569

JUL18 2Y NOTE   106.00 C      815     -200   106.00 P       60    UNCH

JUL18 2Y NOTE   106.12 C   48,404   +4,500   106.12 P        1    UNCH

SEP18 2Y NOTE   106.00 C       26      +19   106.00 P        0    UNCH

SEP18 2Y NOTE   106.12 C        0     UNCH   106.12 P        0    UNCH

JUN18 EURODLR    97.75 C  347,317     UNCH    97.75 P  378,373    +101

JUN18 EURODLR    97.87 C  376,414     -950    97.87 P  317,473    UNCH

JUL18 EURODLR    97.50 C   28,857   -1,050    97.50 P   87,520    -250

JUL18 EURODLR    97.62 C   71,655   +3,598    97.62 P   44,058    -125

JUN19 1Y-MIDC    97.37 C  160,787   +1,850    97.37 P  258,469    +750

JUN19 1Y-MIDC    97.50 C  192,664     UNCH    97.50 P  122,435    UNCH

JUN20 2Y-MIDC    97.00 C   47,167   +3,250    97.00 P   88,097  +4,360

JUN20 2Y-MIDC    97.12 C   81,822   +2,225    97.12 P  102,244    UNCH

JUN21 3Y-MIDC    96.87 C   19,811     +405    96.87 P   54,450    UNCH

JUN21 3Y-MIDC    97.00 C   63,746     +194    97.00 P   68,620    -309

     PUT/CALL RATIO FOR VOLUME CLEARED:

JUL18 10Y NOTE PUT/CALL RATIO  -- 0.88 (192,750 PUTS VS. 219,428 CALLS)

SEP18 10Y NOTE PUT/CALL RATIO  -- 1.45 (58,591 PUTS VS. 40,387 CALLS)

JUL18 5Y NOTE PUT/CALL RATIO   -- 0.51 (40,906 PUTS VS. 79,555 CALLS)

SEP18 5Y NOTE PUT/CALL RATIO   -- 4.80 (32,966 PUTS VS. 6,872 CALLS)

JUL18 2Y NOTE PUT/CALL RATIO   -- 0.34 (4,600 PUTS VS. 13,338 CALLS)

SEP18 2Y NOTE PUT/CALL RATIO   -- 1.49 (2,886 PUTS VS. 1,932 CALLS)

JUN18 EURODLRS PUT/CALL RATIO  -- 0.36 (5,151 PUTS VS. 14,144 CALLS)

JUL18 EURODLRS PUT/CALL RATIO  -- 0.73 (32,151 PUTS VS. 44,060 CALLS)

JUN19 1Y-MIDCRVE PUT/CALL RATIO-- 0.68 (13,450 PUTS VS. 19,650 CALLS)

JUN20 2Y-MIDCRVE PUT/CALL RATIO-- 2.69 (35,125 PUTS VS. 13,050 CALLS)

JUN21 3Y-MIDCRVE PUT/CALL RATIO-- 0.07 (1,100 PUTS VS. 16,600 CALLS)

     (VOLUME, OPEN INTEREST, PUT/CALL RATIOS FOR VOLUME CLEARED ALL REFLECT

PRIOR 

SESSION'S DATA.)

     Swaption BP/Vol Via Bloomberg:

Time (ET)    3M/2Y   1M/10Y    3M/5Y   3M/10Y   2Y/10Y    5Y/5Y

12:15        46.99    65.69    61.55    63.14    69.50    73.42

TUE 9:30     45.85    64.81    59.00    61.80    69.59    73.54     

FRI 1:00     43.90    58.70    56.17    59.49    69.06    73.26

FRI OPEN     43.95    58.69    55.96    59.33    68.97    73.13

THU 3:00     43.57    57.80    55.69    59.51    68.75    73.06

THU OPEN     43.71    58.71    56.03    59.82    69.03    73.20

WED 3:00     43.81    58.37    56.07    60.12    69.18    73.16

WED OPEN     43.63    58.77    57.04    60.42    69.38    73.25

TUE 3:00     43.53    59.31    56.77    60.41    69.62    73.42

TUE OPEN     43.60    59.54    56.72    60.52    69.45    73.32

--MNI Chicago Bureau; +1 630-698-0154; email: ryan.martin@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$]